That was because to square -2 I automatically enter "2", then toggle the sign, then apply the power. So I have "-2" which I then raise to the desired power, and if this gave a negative answer for an even power it would certainly be a bug.

However, if I just press the keys "minus" "two" "squared" then it does indeed return -4. But that is, as Anti says, is just following the rules of operator precedence. You start with "0" on the screen, so if you enter that sequence of key presses you are actually entering the sum "0 - 2^2", for which the correct answer is "-4".